When we create Visual Studio 2010 setup project to make msi file for client installation, we do the following procedure.

1. Create primary output from our main project in the Application folder under File System on Target Machine.
2. Create shortcut key for primary output in the User’s Desktop folder or User’s Program Menu folder or both the mentioned folders.

Normally when we create shortcut key, we want to associate an icon of our own instead of default icon.

Even though we can add ico file to the Setup project but we can’t associate that icon in the properties window of shortcut key (the “OK” button is always disabled).